Nothing saves "to Gallery", because Gallery has no "place" to save to. It displays any pictures on the phone that aren't in a folder with a .nomedia file in it. If you don't want to see the WhatsApp pictures, find the folder they're in, open a new file (with a text editor or any other app that can create files) in that folder and save it as ".nomedia" (with the dot but without the quotation marks).